Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Résumé
In this paper, we generalize the parametric delta-VaR method from portfolios with normally distributed risk factors to portfolios with ellipticallydistributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios.Special attention is given to the particular case ofa multivariate t-distribution.
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